APPLIED ECONOMETRICS
(Third quarter)
Jaume García
jaume.Garcí[email protected]
Jaume I building 20.223
Sergi Jiménez
[email protected]
Jaume I building 20.280
Lectures:
Thursday, Friday
9:00-10:30
Room: 40.146
Seminars:
102
103
13:00-14:30
14:30-16:00
Room: 40.153
Room: 40.153
Wednesday
Wednesday
Geert Mesters
[email protected]
Jaume I bulding 20.1E80
Objectives
The course will introduce the student into the empirical analysis of some economic issues
using econometric techniques.
The course will be organized around some economic topics, closely related to some papers in
the literature. There will be a general emphasis on the usual stages in applied work in
economics:
-
How to define the question to be analyzed (objective)
The economic theory framework corresponding to the empirical model
The type of data necessary (and available) for the analysis
The econometric techniques adequate for the exercise given the characteristics of the
data and the model
The interpretation of the results
The elaboration of the conclusions
The course will pay specific attention to the econometric techniques used in the different
topics.
Prerequisites
Similar to those in the Econometrics I, II and III courses in the grade of Economics at
Universitat Pompeu Fabra, i.e:
-
Basic knowledge of the concepts of statistical inference, hypothesis testing and
maximum likelihood estimation
Knowledge of the regression model and consequences of problems of internal and
external validity
Basic knowledge of instrumental variables, time series and dynamic causal effects
Basic knowledge of microeconometrics: discrete choice models, limited-dependent
variables models, panel data
Organization
Teaching consists of 19 lectures and 6 seminars of 1.5 hours each. The econometric
methodologies and the discussion of an empirical application associated to each topic will be
developed in the lectures. Seminars will be devoted to the discussion of empirical homework
exercises, one for each topic, and also to the presentation of the contents of published papers
related to empirical applications of the econometric techniques of each topic. Students will be
asked to write an essay based on an empirical exercise they have to do with real data, to be
presented in the last two lectures of the course. In order to practice team work, homework
exercises, presentations of papers and the essay are expected to be done in groups of 3-4
people belonging to the same seminar group.
The solutions of the assignments should be sent by mail, as a pdf file, before the date of the
corresponding seminar. The deadline for handing in the essays is June 6.
Participation and asking questions are highly encouraged in lectures and seminars.
Evaluation
In order to pass the course, the student should obtain at least 50 points out of 100, minimum
of 20 from the exam, according to the following distribution:
Paper presentation: 15 points
Empirical essay and presentation: 25 points
Exam: 60 points
For those not passing the course in June and who have obtained at least 15 points in the exam
and have attended and participated in the seminars, there will be a second chance to take the
exam in July.
Syllabus
1. Multinomial discrete choice models (MDCM)
 Independence of Irrelevant Alternatives
 Nested Logit
 Mixed Logit
2. Forecasting realized volatility (FRV)
 High frequency data versus daily data
 Models for high frequency data (AR, HAR, GARCH, GARCH-RV)
 Forecasting. Comparison of forecasts
3. Forecasting inflation (FI)
 Characteristics of inflation
 Models for inflation (AR, VAR, DFM)
 Forecasting. Comparison of forecasts
4. Duration models (DM)
 Basic concepts
 Continuous time models
 Unobserved heterogeneity
5. Policy Evaluation Methods (PEM)
 Differences in differences
 Propensity score matching
 Regression discontinuity design
There will also be additional empirical references for each topic to be discussed in the
presentations.
The econometric contents of the topics can be followed using the lecture notes and the
following textbooks:
Jones, A., Applied Econometrics for Health Economists: A Practical Guide, Radcliffe
Publishing, 2007 (basic)
Greene, W.H., Econometric Analysis, Prentice Hall, 2008 (intermediate)
Cameron, A.C. and Trivedi, P.K., Microeconometrics. Methods and Applications,
Cambridge University Press, 2005 (advanced)
Cameron, A.C. and Trivedi, P.K., Microeconometrics using STATA, STATA Press, 2010
(advanced)
Stock, J.H. and Watson, M.K., Introduction to Econometrics, Addison-Wesley, 2010
Wooldridge, J.M., Econometric Analysis of Cross-Section and Panel Data, MIT Press,
2010 (advanced)
Course plan
Lecture
April 9
Multinomial Discrete Choice Models
Jaume García
Lecture
April 10
Forecasting Realized Volatility
Geert Mesters
Lecture
April 16
Multinomial Discrete Choice Models
Jaume García
Lecture
April 17
Forecasting Realized Volatility
Geert Mesters
Lecture
April 24
Multinomial Discrete Choice Models
Jaume García
Lecture
April 30
Forecasting Realized Volatility
Geert Mesters
Seminar
May 6
Assignment MDCM
Jaume García
Lecture
May 7
Forecasting Inflation
Geert Mesters
Lecture
May 8
Forecasting Inflation
Geert Mesters
Seminar
May 13
Assignment FRV
Geert Mesters
Lecture
May 14
Forecasting Inflation
Geert Mesters
Lecture
May 15
Duration Models
Jaume García
Seminar
May 20
Papers’ presentations
Jaume García
Lecture
May 21
Duration Models
Jaume García
Lecture
May 22
Duration models
Jaume Garcia
Seminar
May 27
Assignment FI
Geert Mesters
Lecture
May 28
Policy Evaluation Methods
Sergi Jiménez
Lecture
May 29
Policy Evaluation Methods
Sergi Jiménez
Seminar
June 3
Assignment DM
Jaume García
Lecture
June 4
Policy Evaluation Methods
Sergi Jiménez
Lecture
June 5
Assignment PEM
Sergi Jiménez
Seminar
June 10
Papers’ presentations
Jaume García
Lecture
June 11
Essays’ presentations
Jaume García
Lecture
June 12
Essays’ presentations
Jaume García
Assignments
Communication of the composition of the groups:
April 17
(the same group for assignments, presentations and essay)
Deadline
Hand in the day before the corresponding seminar by mail to the following address:
[email protected] (as a pdf file)
Papers’ presentations
Communication of the date of the presentation:
Papers available:
April 24
May 14 for those to be presented in May 20
June 4 for those to be presented in June 10
Written report: Summary of the paper with the following structure:
- Objective
- Theoretical framework
- Econometric specification
- Main issues related to the data
- Main results and conclusions
- Weak aspects of the paper
- Improvements
Maximum extension: 10,000 characters including blanks
Hand in the written report and the slides (pdf files) the day before the
presentation by mail the address above
Essay
Communication of the topic:
May 2
Hand in the written report and the slides (pdf files) by June 11 to the mail address above